rq_fpml_product_swaption.c

风险财务控制库 Risk Quantify is an open source financial library, with a focus on managing the risk of fi

/*
** rq_fpml_product_swaption.c
**
** Written by Brett Hutley - [e-mail]
**
** Copyright (C) 2001 Brett Hutley
**
** This file is part of the Risk Quantify Library
**
** Risk Quantify is free software; you can redistribute it and/or
** modify it under the terms of the GNU Library General Public
** License as published by the Free Software Foundation; either
** version 2 of the License, or (at your option) any later version.
**
** Risk Quantify is distributed in the hope that it will be useful,
** but WITHOUT ANY WARRANTY; without even the implied warranty of
** MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
** Library General Public License for more details.
**
** You should have received a copy of the GNU Library General Public
** License along with Risk Quantify; if not, write to the Free
** Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA
*/
#include "fpml/rq_fpml_product_swaption.h"
#include "fpml/rq_fpml_swap.h"
#include "fpml/rq_fpml_swaption_adjusted_dates.h"
#include "fpml/rq_fpml_cash_settlement.h"
#include "fpml/rq_fpml_exercise_procedure.h"
#include "fpml/rq_fpml_american_exercise.h"
#include "fpml/rq_fpml_bermudan_exercise.h"
#include "fpml/rq_fpml_european_exercise.h"
#include "fpml/rq_fpml_payment.h"
#include <stdlib.h>
#include <string.h>

/* -- structures --------------------------------------------------- */
struct rq_fpml_product_swaption {
	const char * product_type;
	const char * product_id;
	const char * buyer_party_reference;
	const char * seller_party_reference;
	struct rq_fpml_payment premium;
	struct rq_fpml_european_exercise *european_exercise;
	struct rq_fpml_bermudan_exercise *bermudan_exercise;
	struct rq_fpml_american_exercise *american_exercise;
	struct rq_fpml_exercise_procedure exercise_procedure;
	const char * calculation_agent_party_reference;
	struct rq_fpml_cash_settlement cash_settlement;
	short swaption_straddle;
	struct rq_fpml_swaption_adjusted_dates swaption_adjusted_dates;
	struct rq_fpml_swap swap;
};

/* -- globals ------------------------------------------------------ */
const char *rq_fpml_product_swaption_product_type = "swaption";

/* -- code --------------------------------------------------------- */
static void 
rq_fpml_product_swaption_free(void *product_data)
{
    struct rq_fpml_product_swaption *p = 
        (struct rq_fpml_product_swaption *)product_data;
    free(p);
}

int
rq_fpml_product_swaption_write_xml(void *product_data, rq_stream_t output_stream)
{
    struct rq_fpml_product_swaption *p = 
        (struct rq_fpml_product_swaption *)product_data;
    int status = 0;

    rq_stream_write_string(output_stream, "<swaption>");
    rq_stream_write_string(output_stream, "<buyerPartyReference href=\"#partyA\"/>");
    rq_stream_write_string(output_stream, "<sellerPartyReference href=\"#partyB\"/>");
    rq_stream_write_string(output_stream, "<premium>");
    rq_stream_write_string(output_stream, "<payerPartyReference href=\"#partyA\"/>");
    rq_stream_write_string(output_stream, "<receiverPartyReference href=\"#partyB\"/>");
    rq_stream_write_string(output_stream, "<paymentAmount>");
    rq_stream_write_string(output_stream, "<currency>EUR</currency>");
    rq_stream_write_string(output_stream, "<amount>100000</amount>");
    rq_stream_write_string(output_stream, "</paymentAmount>");
    rq_stream_write_string(output_stream, "<paymentDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2000-08-30</unadjustedDate>");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>FOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCenters>");
    rq_stream_write_string(output_stream, "<businessCenter>EUTA</businessCenter>");
    rq_stream_write_string(output_stream, "</businessCenters>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</paymentDate>");
    rq_stream_write_string(output_stream, "</premium>");
    rq_stream_write_string(output_stream, "<europeanExercise>");
    rq_stream_write_string(output_stream, "<expirationDate>");
    rq_stream_write_string(output_stream, "<adjustableDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2001-08-28</unadjustedDate>");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>FOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCenters>");
    rq_stream_write_string(output_stream, "<businessCenter>EUTA</businessCenter>");
    rq_stream_write_string(output_stream, "<businessCenter>GBLO</businessCenter>");
    rq_stream_write_string(output_stream, "</businessCenters>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</adjustableDate>");
    rq_stream_write_string(output_stream, "</expirationDate>");
    rq_stream_write_string(output_stream, "<earliestExerciseTime>");
    rq_stream_write_string(output_stream, "<hourMinuteTime>09:00</hourMinuteTime>");
    rq_stream_write_string(output_stream, "<businessCenter>BEBR</businessCenter>");
    rq_stream_write_string(output_stream, "</earliestExerciseTime>");
    rq_stream_write_string(output_stream, "<expirationTime>");
    rq_stream_write_string(output_stream, "<hourMinuteTime>11:00</hourMinuteTime>");
    rq_stream_write_string(output_stream, "<businessCenter>BEBR</businessCenter>");
    rq_stream_write_string(output_stream, "</expirationTime>");
    rq_stream_write_string(output_stream, "</europeanExercise>");
    rq_stream_write_string(output_stream, "<exerciseProcedure>");
    rq_stream_write_string(output_stream, "<manualExercise>");
    rq_stream_write_string(output_stream, "<exerciseNotice>");
    rq_stream_write_string(output_stream, "<partyReference href=\"#partyB\"/>");
    rq_stream_write_string(output_stream, "<businessCenter>GBLO</businessCenter>");
    rq_stream_write_string(output_stream, "</exerciseNotice>");
    rq_stream_write_string(output_stream, "</manualExercise>");
    rq_stream_write_string(output_stream, "<followUpConfirmation>true</followUpConfirmation>");
    rq_stream_write_string(output_stream, "</exerciseProcedure>");
    rq_stream_write_string(output_stream, "<calculationAgentPartyReference href=\"#partyB\"/>");
    rq_stream_write_string(output_stream, "<swaptionStraddle>false</swaptionStraddle>");
    rq_stream_write_string(output_stream, "<swap>");
    rq_stream_write_string(output_stream, "<swapStream>");
    rq_stream_write_string(output_stream, "<payerPartyReference href=\"#partyA\"/>");
    rq_stream_write_string(output_stream, "<receiverPartyReference href=\"#partyB\"/>");
    rq_stream_write_string(output_stream, "<calculationPeriodDates id=\"CalcPeriodDates0\">");
    rq_stream_write_string(output_stream, "<effectiveDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2001-08-30</unadjustedDate>");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>NONE</businessDayConvention>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</effectiveDate>");
    rq_stream_write_string(output_stream, "<terminationDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2006-08-30</unadjustedDate>");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>MODFOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCenters id=\"accrualBusinessCenters0\">");
    rq_stream_write_string(output_stream, "<businessCenter>EUTA</businessCenter>");
    rq_stream_write_string(output_stream, "</businessCenters>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</terminationDate>");